This paper develops a non-parametric method to infer social preferences over policies from prices of securities when agents have non-stationary heterogeneous preferences. We allow for arbitrary efficient risk-sharing mechanisms, formal and informal, and consider a large class of policies. We present a condition on the distribution of aggregate wealth that is necessary and sufficient for the revelation of social preferences over a universal set of policies. We also provide a weaker condition that is sufficient for revelation of social preferences for an arbitrary finite collection of policies.
Unpublished version
Published version
2019
@article{weretka2019normative,
title={Normative inference in efficient markets},
author={Weretka, Marek},
journal={Economic Theory},
volume={68},
number={4},
pages={787--810},
year={2019},
}